A BSDE approach to fair bilateral pricing under endogenous collateralization

DOI10.1007/s00780-016-0306-2zbMath1380.91133arXiv1412.2453MaRDI QIDQ331356

Marek Rutkowski, Tianyang Nie

Publication date: 27 October 2016

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1412.2453

zbMATH Keywords

comparison theorem; arbitrage-free conditions; backward stochastic viability property; bilateral pricing; endogenous collateralization; idiosyncratic funding costs

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60H30: Applications of stochastic analysis (to PDEs, etc.)

91G20: Derivative securities (option pricing, hedging, etc.)